We theoretically and experimentally study the noise correlations in an array of lasers based on a VECSEL (Vertical External Cavity Surface Emitting Laser) architecture. The array of two or three lasers is created inside a planar degenerate cavity with a mask placed in a self-imaging position. Injection from each laser to its neighbors is created by diffraction, which creates a controllable complex coupling coefficient. The noise correlations between the different modes are observed to be dramatically different when the lasers are phase-locked or unlocked. These results are well explained by a rate equation model that takes into account the class-A dynamics of the lasers. This model permits the isolatation of the influence of the complex coupling coefficients and of the Henry α-factor on the noise behavior of the laser array.